Let me check I've understood what you're saying here...
You have one machine running XP, which is connected to the web via a USB modem. This machine also has an ethernet network card to connect it to another PC. The second PC (running ME) is connected via the ethernet card to the XP machine, and you're trying to use ICS to get the ME machine online too.
If this is the case, let's step back a bit before saying your girlfriend can see some websites some of the time. Does she have any network connectivity at all. Can she ping your XP machine? If that's OK, can she also ping sites on the web? (try pinging
www.yahoo.co.uk as they don't block ping requests)
What makes you think the problem is being caused by the firewall on XP? Does your girlfriend's problem disappear if the firewall is temporarily disabled, and is this what lead you to determine the firewall as the problem?
Have you configured ICS on the XP machine? If you're not 100% sure of how to do it, spend a few minutes reading and understanding
this post by Staurt W.
Of course, the easiest solution is, as nffc says, to just buy a router. It's more expensive than buying a Cat 5 crossover cable (er... you are using a Cat 5 crossover cable, aren't you?) but won't take you anywhere near as long to configure.